Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market

Hiroaki Jotaki; Hiroshi Takahashi; Yasuo Yamashita; Takao Terano

doi:10.1109/COMPSAC.2017.95

Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market

Hiroaki Jotaki, Hiroshi Takahashi, Yasuo Yamashita, Takao Terano

経営管理研究科

研究成果: Conference contribution

抄録

This study focuses on how the cumulative excess returns (CER) of corporate bonds in the Japanese market respond to simultaneous publications of current net earnings and management's net earnings forecast. The estimation results using a regression model generalizing the interaction of the current net earnings and management's net earnings forecast show that the CER of corporate bonds is influenced mutually by the two pieces of information. In particular, we confirmed that declining current net earnings and management net earnings forecasts will have the most negative impact on corporate bonds. These results reveal interesting facts about the mechanism by which financial information is reflected in prices in the corporate bond market as well as the excess source of the investment return in asset management practice.

本文言語	English
ホスト出版物のタイトル	Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
出版社	IEEE Computer Society
ページ	631-636
ページ数	6
巻	2
ISBN（電子版）	9781538603673
DOI	https://doi.org/10.1109/COMPSAC.2017.95
出版ステータス	Published - 2017 9月 7
イベント	41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017 - Torino, Italy 継続期間: 2017 7月 4 → 2017 7月 8

Other

Other	41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017
国/地域	Italy
City	Torino
Period	17/7/4 → 17/7/8

ASJC Scopus subject areas

ソフトウェア
コンピュータサイエンスの応用

文献へのアクセス

10.1109/COMPSAC.2017.95

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引用スタイル

Jotaki, H., Takahashi, H., Yamashita, Y., & Terano, T. (2017). Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market. In Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017 (Vol. 2, pp. 631-636). [8030003] IEEE Computer Society. https://doi.org/10.1109/COMPSAC.2017.95

Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market. / Jotaki, Hiroaki; Takahashi, Hiroshi; Yamashita, Yasuo その他.
Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017. Vol. 2 IEEE Computer Society, 2017. p. 631-636 8030003.

研究成果: Conference contribution

Jotaki, H, Takahashi, H, Yamashita, Y & Terano, T 2017, Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market. in Proceedings - 2017 IEEE 41st Annual Computer Software and Applications Conference Workshops, COMPSAC 2017. vol. 2, 8030003, IEEE Computer Society, pp. 631-636, 41st IEEE Annual Computer Software and Applications Conference Workshops, COMPSAC 2017, Torino, Italy, 17/7/4. https://doi.org/10.1109/COMPSAC.2017.95

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Corroboration Effect of Current Net Earnings and Management's Net Earnings Forecasts in Japan's Corporate Bond Market

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Other

ASJC Scopus subject areas

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